Vanbinsbergen, Jules; Hueskes, Wouter H.; Koijen, Ralph; … - Becker Friedman Institute for Research in Economics, … - 2012
We study a new data set of dividend derivatives with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose the equity yields to obtain a term structure of expected dividend...